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Journal of Finance Vol. 62 No. 2 2007

Fund Manager Use of Public Information: New Evidence on Managerial Skills

Marcin Kacperczyk; Amit Seru1

1 Kacperczyk is at the Sauder School of Business, University of British Columbia. Seru is at the Ross School of Business, University of Michigan. Our special thanks go to Uday Rajan and John DiNardo for numerous helpful discussions. We thank Jonathan Berk, Nikë Bharucha, Murray Carlson, John Chalmers

Abstract

We show theoretically that the responsiveness of a fund manager's portfolio allocations to changes in public information decreases in the manager's skill. We go on to estimate this sensitivity ( RPI ) as the R 2 of the regression of changes in a manager's portfolio holdings on changes in public information using a panel of U.S. equity funds. Consistent with RPI containing information related to managerial skills, we find a strong inverse relationship between RPI and various existing measures of performance, and between RPI and fund flows. We also document that both fund‐ and manager‐specific attributes affect RPI .

DOI
10.1111/j.1540-6261.2007.01215.x
Volume
62
Issue
2
Pages
485-528
Language
en
Sources
openalex bibtex:phds-export.bib crossref

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